Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0347 |
| Annualized Std Dev | 0.2721 |
| Annualized Sharpe (Rf=0%) | 0.1274 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5232.0000 |
| NAs | 1.0000 |
| Minimum | -0.1570 |
| Quartile 1 | -0.0060 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1566 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0171 |
| Skewness | 0.1511 |
| Kurtosis | 13.6633 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0135 |
| Loss Deviation | 0.0136 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0120 |
| Downside Deviation (0%) | 0.0120 |
| Maximum Drawdown | 0.8022 |
| Historical VaR (95%) | -0.0237 |
| Historical ES (95%) | -0.0412 |
| Modified VaR (95%) | -0.0224 |
| Modified ES (95%) | -0.0224 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-21 | 2009-03-06 | 2018-01-11 | -0.8022 | 2744 | 515 | 2229 |
| 2020-02-18 | 2020-03-23 | 2021-02-22 | -0.4257 | 256 | 25 | 231 |
| 2001-01-04 | 2002-10-09 | 2004-01-05 | -0.3433 | 752 | 441 | 311 |
| 2018-01-29 | 2018-12-24 | 2019-07-01 | -0.2080 | 358 | 229 | 129 |
| 2000-10-04 | 2000-10-12 | 2000-12-27 | -0.1343 | 59 | 7 | 52 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | 2.4 | -1 | 0.8 | -1.1 | 0.5 | -1.1 | -0.5 | -1 | -1 |
| 2001 | 0.2 | 0.4 | 1.9 | 0.5 | -0.5 | -0.5 | 0.4 | 0.4 | -0.3 | 1.2 | -0.1 | -0.1 | 3.7 |
| 2002 | -0.8 | 1 | -0.4 | 0.5 | 0.7 | -1.7 | -2.1 | 0 | 4.1 | 1.1 | -0.7 | -0.4 | 1 |
| 2003 | 0.9 | -0.2 | 2.1 | 0 | 1.9 | 1.2 | -1.9 | 0.8 | 2.2 | 0.3 | 1 | -0.1 | 8.4 |
| 2004 | 0.7 | 0.9 | 1 | -0.2 | -0.4 | -0.6 | -0.3 | -0.5 | 1.3 | 0.1 | 1.9 | 0 | 3.9 |
| 2005 | 1 | 1.3 | -0.9 | 1.3 | 0.8 | 0.4 | -0.2 | 0.4 | -0.2 | -0.7 | 0.8 | -0.5 | 3.7 |
| 2006 | 0.3 | 0.6 | 0.3 | -1.4 | 1.4 | 0 | -0.1 | 0.2 | -0.3 | -0.8 | -0.5 | -0.7 | -1.1 |
| 2007 | 0.5 | -0.3 | -0.1 | 0 | 0.3 | -0.8 | 0.3 | 1.2 | 2.1 | -4.1 | 3.1 | 0.5 | 2.6 |
| 2008 | 2.1 | -3.8 | 7 | 3.9 | -0.7 | 1 | 0.7 | -0.3 | 1.1 | 4.8 | -15.7 | 3.1 | 1.2 |
| 2009 | -2.3 | -4.5 | 2.4 | -1.3 | 1.2 | -0.4 | 0.7 | -4.7 | -3.9 | -4.2 | 0.3 | -0.4 | -16.1 |
| 2010 | 1.3 | 0.4 | 0.8 | -2.4 | -2.2 | -0.7 | -0.1 | 3.7 | 0.8 | -0.1 | 2.1 | 0.1 | 3.5 |
| 2011 | 1.9 | -2 | 0.8 | -0.2 | -3.2 | 1.8 | -0.3 | -2.2 | -3.2 | -4.4 | -0.6 | -0.7 | -11.8 |
| 2012 | 1.6 | 1.1 | 0.4 | 1 | -3.5 | 2.5 | -0.5 | 0.6 | 0.4 | 1.3 | 0 | 0.8 | 5.8 |
| 2013 | 1.3 | 0.4 | -0.5 | -1.1 | -1.5 | 0.5 | 1.5 | -0.7 | 1 | 0.2 | -0.4 | 0.4 | 1.1 |
| 2014 | -1.3 | 0.6 | 0.4 | 0.2 | 0.2 | 0.6 | -0.7 | 0.5 | -1.1 | 1.2 | -0.8 | -1.2 | -1.4 |
| 2015 | -1.5 | -0.3 | -0.1 | 0.8 | 0.3 | 1.4 | -0.3 | -3.5 | 0.2 | -1.3 | 1.1 | -0.9 | -4.3 |
| 2016 | -0.5 | 3.4 | 0.7 | -0.7 | 0.3 | -0.4 | -0.2 | -0.3 | 0.9 | -0.8 | 0.7 | 0.3 | 3.4 |
| 2017 | -0.2 | 2 | -0.4 | 0.5 | 1.1 | -0.1 | 0.7 | 0.3 | 0.3 | 0.2 | 0.2 | -0.4 | 4.4 |
| 2018 | 0.6 | -1.4 | 1.2 | 0.3 | 0.9 | -0.1 | 0.2 | 0 | 0 | 0.6 | 0.8 | 0.8 | 3.8 |
| 2019 | 0.5 | 0.4 | 1.7 | -0.7 | -1 | 0.7 | -1.4 | 0.2 | -1.7 | 1.1 | -0.2 | 0.2 | -0.1 |
| 2020 | -2 | -2 | -6.2 | -3.2 | 1.3 | -0.1 | -0.2 | 0.2 | 0.8 | -0.1 | 1.4 | 1 | -9.2 |
| 2021 | 1.5 | 2.5 | -1.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-05-31 36.8 SPY 143. 0.0007 0.0349 -0.0289 0.0316 0.0996 NA NA <NA> NA NA NA
2 2000-06-01 37.7 SPY 145. 0.0175 0.0361 0.0082 0.049 0.113 NA NA <NA> NA NA NA
3 2000-06-02 39.2 SPY 148. 0.0174 0.0725 0.0439 0.0476 0.110 NA NA <NA> NA NA NA
4 2000-06-05 38.7 SPY 147. -0.0049 0.0661 0.0375 0.0523 0.102 NA NA <NA> NA NA NA
5 2000-06-06 37.7 SPY 146. -0.0045 0.0263 0.0205 0.0687 0.108 NA NA <NA> NA NA NA
6 2000-06-07 38.5 SPY 147. 0.0069 0.0327 0.0353 0.0775 0.116 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
